Abstract
This paper presents a novel gradient-type iterative algorithm for the solution of optimal control problems with constraints on the control variables, the terminal state and the state variables. In this algorithm, the control variation for improvement is constructed in a hierarchical manner so that it decides the convergence rates of the terminal constraints, the state constraints and the cost functional separately, to improve the convergence performance. A clipping-off technique is used to deal with the input constraints. The proposed algorithm can be also applied to the problem with final time unspecified by introducing a time-scale factor. A numerical example is shown to illustrate the effectiveness of the proposed algorithm.
